Exponential Stability Of The Discrete Stochastic Filter Via Non-degeneracy Andanalytic Stability Of The Signal

Dr. Daniel Noelck
Senior Research Associate
Illinois Institute of Technology

The stability of discrete time filters has been an active field of research, particularly when applied to numerical filter approximation schemes. Most results in the field are obtained on a compact signal space, but there is no reason to believe the results should not carry over to non-compact spaces. In this talk, we will introduce the discrete time filtering problem, discuss some well known results on compact spaces, and the difficulties of expanding those results to non-compact spaces, and then introduce recent results for stability on those non-compact spaces. Finally, we will discuss the future work available in the continuous time setting.